Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0765
Annualized Std Dev 0.2747
Annualized Sharpe (Rf=0%) 0.2785

Row

Daily Return Statistics

Close
Observations 3743.0000
NAs 1.0000
Minimum -0.1444
Quartile 1 -0.0070
Median 0.0007
Arithmetic Mean 0.0004
Geometric Mean 0.0003
Quartile 3 0.0083
Maximum 0.1298
SE Mean 0.0003
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0010
Variance 0.0003
Stdev 0.0173
Skewness -0.4484
Kurtosis 8.7129

Downside Risk

Close
Semi Deviation 0.0126
Gain Deviation 0.0122
Loss Deviation 0.0138
Downside Deviation (MAR=210%) 0.0169
Downside Deviation (Rf=0%) 0.0124
Downside Deviation (0%) 0.0124
Maximum Drawdown 0.7311
Historical VaR (95%) -0.0258
Historical ES (95%) -0.0421
Modified VaR (95%) -0.0271
Modified ES (95%) -0.0535
From Trough To Depth Length To Trough Recovery
2007-06-05 2009-03-09 2013-01-17 -0.7311 1405 436 969
2018-01-23 2020-03-23 2020-12-17 -0.5417 733 545 188
2015-05-19 2016-01-20 2016-11-10 -0.2851 376 170 206
2014-09-03 2014-10-13 2014-12-29 -0.1263 82 29 53
2006-05-09 2006-06-14 2006-10-13 -0.0940 95 17 78

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2006 NA NA 0 0.2 0.6 0.5 -0.7 0.2 -0.7 -0.8 -0.3 -0.9 -2
2007 0.6 -0.2 0 0.3 0.6 -0.2 0.8 1.1 2.2 -2.5 0.9 -0.6 2.9
2008 3.2 -3.9 4.7 3 -0.3 0 0.2 -0.7 0.1 3.3 -9.9 5.9 4.8
2009 -8.8 0.4 -0.8 -0.3 5.9 3.9 -0.6 -4 -5 -3.5 2.8 -1.4 -11.7
2010 1.7 1.6 1.1 -3 -3.5 -1 0.2 3.5 0.1 -0.5 1.7 -0.6 1.1
2011 1.8 -1.4 0.9 -0.6 -1.7 1.3 -2.1 -1.3 -1.4 -3.2 -1.2 -0.4 -8.9
2012 2.5 0.5 -0.1 1 -3 3.4 -1.3 0.3 -0.3 2.6 -0.1 0.9 6.6
2013 0.5 -0.8 -1.4 -2.1 -0.6 0.9 2.3 -1.7 1.1 0.2 0 0.3 -1.5
2014 -0.2 0.8 0.7 0.5 -0.1 1 -0.3 0.4 -1.8 1.7 -1.3 -1 0.3
2015 -0.6 -0.5 -0.3 0.8 -0.5 -0.2 -0.2 -3.3 -0.5 0 0.9 -0.9 -5.3
2016 -0.3 1.8 0.3 -0.7 0.3 1.4 -1.4 -0.7 0.5 -1.1 0.1 -0.7 -0.6
2017 -0.2 2.1 0 0 2.3 0 0.2 0.3 0.3 0 -0.7 -0.5 3.7
2018 -0.5 -0.6 1.4 -0.6 0.5 -0.3 -0.7 -0.2 -0.7 1.9 -0.9 -0.3 -1
2019 0.8 0.2 2.2 -1.3 -2.3 0 -3.2 0.3 -2.2 2.1 -0.7 0.4 -3.9
2020 -2.2 -1.4 -6.4 -4.6 2 -2.4 -1.2 1.2 1.3 -1.3 2.3 0.1 -12.3
2021 2 2.4 -0.1 NA NA NA NA NA NA NA NA NA 4.3

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2006-03-07  30.5 SPY    128. -0.0016  -0.002    0.0135   0.0088   0.0422    0.546   0.0324 GLD    55.0 -0.0051  -0.02  
2 2006-03-08  30.4 SPY    128.  0.0021  -0.0087   0.013    0.0131   0.0483    0.539   0.0292 GLD    54.0 -0.0178  -0.038 
3 2006-03-13  31.1 SPY    129.  0.0019   0.0051   0.0191   0.0225   0.0701    0.589   0.0218 GLD    54.3  0.0089  -0.0167
4 2006-03-14  31.2 SPY    130.  0.0105   0.0173   0.028    0.0305   0.0746    0.552   0.0252 GLD    54.9  0.0103  -0.0015
5 2006-03-15  31.4 SPY    131.  0.0045   0.0197   0.0344   0.0341   0.0884    0.554   0.0286 GLD    55.1  0.0046   0.0213
6 2006-03-16  31.4 SPY    131.  0.0021   0.0287   0.0257   0.0292   0.1       0.510   0.0622 GLD    55.3  0.004    0.0203
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart